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How do crises spread?: evidence from accessible and inaccessible stock indices

Boyer, Brian H. and Kumagai, Timoni and Yuan, Kathy (2006) How do crises spread?: evidence from accessible and inaccessible stock indices. The Journal of Finance, 61 (2). pp. 957-1003. ISSN 0022-1082

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Abstract

We provide empirical evidence that stock market crises are spread globally through asset holdings of international investors. By separating emerging market stocks into two categories, namely, those that are eligible for purchase by foreigners (accessible) and those that are not (inaccessible), we estimate and compare the degree to which accessible and inaccessible stock index returns co-move with crisis country index returns. Our results show greater co-movement during high volatility periods, especially for accessible stock index returns, suggesting that crises spread through the asset holdings of international investors rather than through changes in fundamentals.

Item Type: Article
Official URL: http://www.afajof.org/
Additional Information: © 2006 The American Finance Association
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Sets: Departments > Finance
Collections > Economists Online
Date Deposited: 10 Nov 2011 11:35
Last Modified: 10 Nov 2011 11:35
URI: http://eprints.lse.ac.uk/id/eprint/39406

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